Purpose - On the basis of the author's earlier research on the deviations of the prices of options on WIG20 from the specific relationships arising from the arbitrage, it was found that the number of such deviations distinctly decreased, and significantly reduced the scale of the deviations, which brings the reality of the Polish option market to the assumptions of the arbitrage pricing theory. The aim of the work in this context is to compare the effectiveness of delta hedging using options on the WIG20. Design/Methodology/approach - The reference point for the analysis carried out on the basis of data from 2015 are the findings obtained from analysis conducted for the data from 2007. To compare the effectiveness of delta hedging has been applied the estimated VaR for the unhedged and hedged portfolios in these two periods of research. Findings - Based on the research it can be stated an increase in the effectiveness of the delta hedging associated with the development of the Polish option market. Originality/Value - The results of the research point out that despite the still low liquidity of the Polish option market, qualitative changes improve the effectiveness of the use of options in hedging.(original abstract)

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